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CASE STUDY: Interest Rates & Credit Risk Management


Callable Bonds, Long-dated Swaps and Hedging

Tags

  • Financial Institutions
  • Interest Rates
  • Risk Management
  • Taiwan

“ANZ made it possible for us to alleviate what would have been a high cost of transaction while retaining our current set up for future business.”

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We wanted to issue our debut Structured Long Dated 30Y Callable Formosa Bond with a total size around USD1b. To do this we needed a callable hedge to back out the structured risk and swap it for floating interest rates. This would require clean, long dated credit lines, too expensive to use with our current collateral arrangements.

The ANZ Global Markets’ front office teams were great. In co-ordination with the Credit and Collateral Management teams they came back with a solution to add additional CSA documents to our existing ISDA, using different collateral and threshold pricing.

By working closely with us to understand our specific long date needs, they made it possible for us to:

  • Alleviate the high cost associated with this transaction and still retain our current set up for future business.
  • Competitively price the transaction to win the largest tranche at approximately USD500m.
 
Our customer would like to remain anonymous. 

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2) By Business
a. Foreign Exchange Wholesale Disclosure

3) By Country
a. US Disclosures